Working Papers

From Faculty of Economic Sciences, University of Warsaw
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2025-08: Monetary-fiscal interactions during large-scale asset purchase programs

Marcin Kolasa, Małgorzata Walerych and Grzegorz Wesołowski

2025-07: The Impact of Railway on the Regional Economic Development and Social Mobility in the Congress Kingdom of Poland

Piotr Koryś and Marcin Wroński

2025-06: US macroeconomic shocks and international business cycle

Grzegorz Wesołowski and Oleg Gurshev

2025-05: International spillovers of fiscal news shocks

Mehmet Turgut and Grzegorz Wesołowski

2025-04: Disruptive innovation: Incumbent’s response to innovation threat

Marcin Penconek and Stefano Pagliarani

2025-03: The Economic Growth and Regional Convergence in Interwar Poland: Detailed Historical National Accounts

Maciej Bukowski, Michał Kowalski and Marcin Wroński

2025-02: Agriculture in interwar Poland: development in a turbulent time

Maciej Bukowski, Michał Kowalski and Marcin Wroński

2025-01: Industrial robots and workers’ well-being in Europe

Honorata Bogusz and Daniela Bellani

2024-27: The article investigates the usage of Informer architecture for building automated trading strategies for high frequency Bitcoin data. Three strategies using Informer model with different loss functions: Root Mean Squared Error (RMSE), Generalized Mean Absolute Directional Loss (GMADL) and Quantile loss, are proposed and evaluated against the Buy and Hold benchmark and two benchmark strategies based on technical indicators. The evaluation is conducted using data of various frequencies: 5 minute, 15 minute, and 30 minute intervals, over the 6 different periods. Although the Informer-based model with Quantile loss did not outperform the benchmark, two other models achieved better results. The performance of the model using RMSE loss worsens when used with higher frequency data while the model that uses novel GMADL loss function is benefiting from higher frequency data and when trained on 5 minute interval it beat all the other strategies on most of the testing periods. The primary contribution of this study is the application and assessment of the RMSE, GMADL and Quantile loss functions with the Informer model to forecast future returns, subsequently using these forecasts to develop automated trading strategies. The research provides evidence that employing an Informer model trained with the GMADL loss function can result in superior trading outcomes compared to the buy-and-hold approach

Filip Stefaniuk and Robert Ślepaczuk

2024-26: Carbon taxes in Europe do not hurt the poor

Michał Brzeziński and Monika Kaczan

2024-25: Awareness and Impact of Energy Labels on Purchases of Household Appliances in the EU

Monica Barahona-Varon, Toker Doganoglu and Lukasz Grzybowski

2024-24: Explaining the Willingness to Pay Higher Prices and Taxes to Combat Climate Change

Toker Doganoglu, Lukasz Grzybowski and Joanna Rachubik

2024-23: Narrowing the ‘digital divide’: the role of fixed and mobile infrastructure

Ryan Hawthorne and Lukasz Grzybowski

2024-22: Interoperability between mobile money agents and choice of network operators: the case of Tanzania

Lukasz Grzybowski, Valentin Lindlacher and Onkokame Mothobi

2024-21: The Impact of Mobile Phones on Change in Employment Status in South Africa

Lukasz Grzybowski and Patel Zubair

2024-20: Mobile money and financial inclusion in Sub-Saharan Africa

Lukasz Grzybowski, Valentin Lindlacher and Onkokame Mothobi

2024-19: The Effects of Emotions on Stated Preferences for Environmental Change: a re-examination

Yilong Xu, Mikolaj Czajkowski, Nick Hanley, Leonhard Lades, Charles Noussair and Steven Tucker

2024-18: This study investigates the impact of investor sentiment on stock returns and trading volume, challenging the efficient market hypothesis. Using CRSP data from May 1998 to March 2022, methods like Fama-MacBeth and quantile regression were applied to analyze sentiment indicators such as the VIX, AAII Investor Sentiment Survey, Consumer Confidence, and Baker-Wurgler Index. The findings reveal that investor sentiment significantly influences stock returns and trading volume, especially during uncertain times. Sentiment also affects financial metrics like SMB, HML, RMW, and CMA uniquely. This research provides new insights and practical implications for investors and analysts, emphasizing the importance of considering sentiment in investment strategies to better anticipate market movements and manage risks

Szymon Lis, Robert Ślepaczuk and Paweł Sakowski

2024-17: Effects of Minimum Wage Changes on the Wage Distribution in Low-wage and High-wage Sectors

Pawel Strawinski and Aleksandra Majchrowska

2024-16: Enhancing literature review with NLP methods Algorithmic investment strategies case

Stanisław Łaniewski and Robert Ślepaczuk

2024-15: Assessing the Substitutability of Mobile and Fixed Internet: The Impact of 5G Services on Consumer Valuation and Price Elasticity

Mikolaj Czajkowski, Wojciech Zawadzki, Grzegorz Bernatek and Maciej Sobolewski

2024-14: Construction and Hedging of Equity Index Options Portfolios

Maciej Wysocki and Robert Ślepaczuk

2024-13: The Hybrid Forecast of S&P 500 Volatility ensembled from VIX, GARCH and LSTM models

Natalia Roszyk and Robert Ślepaczuk

2024-12: Improving Realized LGD approximation: A Novel Framework with XGBoost for handling missing cash-flow data

Zuzanna Kostecka and Robert Ślepaczuk

2024-11: Measuring labour force participation during pandemics and methodological changes

Katarzyna Saczuk and Olga Zajkowska

2024-10: Predictive modeling of foreign exchange trading signals using machine learning techniques

Sugarbayar Enkhbayar and Robert Ślepaczuk

2024-09: Statistical arbitrage in multi-pair trading strategy based on graph clustering algorithms in US equities market

Adam Korniejczuk and Robert Ślepaczuk

2024-08: Work from Home and Perceptions of Career Prospects of Employees with Children

Anna Kurowska and Agnieszka Kasperska

2024-07: LSTM-ARIMA as a Hybrid Approach in Algorithmic Investment Strategies

Kamil Kashif and Robert Ślepaczuk

2024-06: Why the Happiest Moments in Life are Sometimes Short? The Role of Psychological Traits and Socio-Economic Circumstances

Magdalena Grabowska, Agata Górny and Małgorzata Kalbarczyk

2024-05: How stable and predictable are welfare estimates using recreation demand models?

Patrick Lloyd-Smith and Ewa Zawojska

2024-04: Welfare and economic implications of universal child benefits

Aleksandra Kolasa

2024-03: Supervised Autoencoder MLP for Financial Time Series Forecasting

Bartosz Bieganowski and Robert Ślepaczuk

2024-02: Two Sides of a Coin: the Relationship Between Work Autonomy and Childbearing

Beata Osiewalska and Anna Matysiak

2024-01: Does it matter if the Fed goes conventional or unconventional?

Marcin Kolasa and Grzegorz Wesołowski

2023-29: Work from home and perceived changes to work-life balance among mothers and fathers during the COVID-19 pandemic

Anna Kurowska, Agnieszka Kasperska and Gayle Kaufman

2023-28: Mechanisms Underlying the Effects of Work From Home on Careers in the Post-Covid Context

Anna Matysiak, Agnieszka Kasperska and Ewa Cukrowska-Torzewska

2023-27: Predicting DJIA, NASDAQ and NYSE index prices using ARIMA and VAR models

Sahil Teymurzade and Robert Ślepaczuk

2023-26: The impact of justice attitudes on air quality valuation: a study combining factorial survey and choice experiment data

Anna Bartczak, Wiktor Budzinski, Ulf Liebe and Jurgen Meyerhoff

2023-25: Hedging Properties of Algorithmic Investment Strategies using Long Short-Term Memory and Time Series models for Equity Indices

Jakub Michańków, Paweł Sakowski and Robert Ślepaczuk

2023-24: Two possible reasons behind the reluctance of low-skilled workers to migrate to generous welfare states

Łukasz Byra

2023-23: Mean Absolute Directional Loss as a New Loss Function for Machine Learning Problems in Algorithmic Investment Strategies

Jakub Michańków, Paweł Sakowski and Robert Ślepaczuk

2023-22: Framing-induced emotions affect performance in simple cognitive tasks under risk

Joanna Rachubik

2023-21: The impact of the accession to the EU on trade flows of the Visegrad countries. Analysis based on the synthetic control method

Adam Pochmara and Jan Michałek

2023-20: REnsembling ARIMAX Model in Algorithmic Investment Strategies on Commodities Market

Paweł Jakubowski, Robert Ślepaczuk and Franciszek Windorbski

2023-19: Reliability of international benefit transfer in cultural economics: Non-market valuation of theater in Denmark and Poland

Aleksandra Wiśniewska, Ewa Zawojska, Andrea Baldin and Joanna Rachubik

2023-18: Patterns in the mobility and ownership of private cars and alternative transport modes: the focus on Warsaw and Poland

Shahriar Akhavan, Maciej Grzenda, Anna Nicińska, Joanna Rachubik, Satia Rożynek, Jakub Zawieska and Grzegorz Kula

2023-17: Optimal Markowitz Portfolio Using Returns Forecasted with Time Series and Machine Learning Models

Damian Ślusarczyk and Robert Ślepaczuk

2023-16: Managerial Preferences towards Employees Working from Home: Post-Pandemic Experimental Evidence

Aga Kasperska, Anna Matysiak and Ewa Cukrowska-Torzewska

2023-15: Ensembled LSTM with Walk Forward Optimization in Algorithmic Trading

Karol Chojnacki and Robert Ślepaczuk